Abstract
We describe the network properties of the Korean interbank payment system (BOKWire+), apply existing methodologies for identifying systemically important banks and develop a new intraday liquidity indicator that compares banks’ expected resources for settling payments in the remainder of the day with their expected liquidity requirements. We use data only available to the Bank of Korea on banks’ expected payments and build regression models for the remaining expected inand outflows of liquidity. We find that the BOK-Wire+ system has more evenly distributed payment flows than interbank payment systems in other countries. We identify ten core banks and measure their network positions (SinkRank) and intraday liquidity risks. The metrics presented in this paper are especially suited for continuous oversight of intraday liquidity and systemic risks in payment systems.
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